In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the … as a proxy for market risk and volatility. This article focuses on the most frequent uses of VIX, namely, as (1) a … financial product to hedge a portfolio against volatility risk; (2) a market risk measure used to analyze risk flows from …

The research paper is an effort to review the relevance of option implied volatility in the modern day financial … markets. Volatility indices such as VIX, VFTSE and India VIX act as efficient predictors of market volatility over the near … term. The role implied volatility plays in providing a measure of investors fears, explaining stock returns, credit default …

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future … volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable … volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility …

of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

generalization of the Black Scholes formula. Both alternatives generate implied volatility skew. Hence, the sudden appearance of the …

We document a higher bond return volatility around the time of default for bonds included in CDS auctions (especially … stock return volatility of CDS firms and non-CDS firms around the time of default. These results are more consistent with …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous …